Preheat the oven to 180°C/350°F/Gas Mark 4. Grease a baking tray. Sift flour into a bowl and rub in the butter with your fingertips. Add the sugar, egg and vanilla essence and mix into a soft dough.
Knead the dough gently on a lightly floured surface until smooth. Roll out the dough between two sheets of greaseproof paper to a one-eight-inch thick round.
Cut into forty-eight biscuits with a two-and-a-half-inch round cookie cutter. Place the biscuits a little apart on the greased tray and bake for about fifteen minutes or until light golden brown.
Remove from the oven and turn out onto wire racks to cool. For the filling, mix together the butter and powdered sugar till smooth; stir in the walnuts and milk. Spread the filling on half the biscuits and cover them with the remaining half.
For the coffee icing, mix the instant coffee powder with three tablespoon of water. Sift the icing sugar into a small bowl and add the butter. Add just enough of the coffee mixture to make a stiff paste. Spread the paste over the sandwiched biscuits and top each one with a walnut half.